A GMing method to impress upon your players the magnitude of the problem they face is to give them some piece of equipment which has seemingly (or really) magical properties, which make it über-powerful. Get them to rely on it to solve all their problems. Kind of like The Doctor's sonic screwdriver - it pretty much always works, no matter what the situation is.

Then put them up against something which is immune to it.

Party getting a bit too reliant on the wizard's fireballs? Have them encounter a posse of creatures with total immunity to fire. Not only are the wizard's fireballs useless, but the creatures can use their own fire magic against the heroes with impunity, simply flooding the entire dungeon with flames.

Nothing beats that "uh oh..." moment when the wizard cockily tries the fireball, and the enemy simply stands there, surrounded by fire, and laughs...

Transcript

Luke: You freaking killed Dak! You bastard!GM: Uh, the camel strides through the snow away from you.Luke: I chase it!Luke: Come back, you coward! I'll chop your legs off!GM: Well, it is quite slow moving, so you can easily catch up. What are you going to do?
{Luke fires a grapple at the camel}[SFX]: pow
{it hits}[SFX]: k-chunk
{Luke winches himself up to the camel's belly}[SFX]: winch
{he pulls out his laser sword}[SFX]: Whooom!Luke:Yaaaarggghhh!!![SFX]: Whooom![SFX]: Sliiice!
{beat}Luke: Oh, come on. The laser sword doesn't completely dismember the camel?!Luke: Grenade.
{Luke jumps off into the snow}[SFX]: paff[SFX]: Kabooom!!! {the camel explodes}